Good news for the PS4 jammers! Our dev team fixed some issues with the game and released a patch.
The Windjammers 1.05 version brings then the following improvements on PS4:

 

• Fixed time out issues when entering matchmaking.
•  Fixed issues with background music when playing online in non-optimal conditions.
•  Added setting to choose between arcade’s original or Neo Geo CD background music.
•  Added descriptions for online error messages.

Enjoy!